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Communications in Statistics - Theory and Methods Volume 25, 1996 - Issue 4
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Original Articles

Refined pickands estimators wtth bias correction

Holger Drees Mathematisches Institut, Universität zu Köln, Weyertal 86-90, Köln, 50931, Germany
Pages 837-851 | Published online: 27 Jun 2007

Citations (19)

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Read on this site (3)

Sascha Desmettre, Johan de Kock, Peter Ruckdeschel & Frank Thomas Seifried. (2018) Generalized Pareto processes and fund liquidity risk. Quantitative Finance 18:8, pages 1327-1343.
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M. Ivette Gomes & Orlando Oliveira. (2003) How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events. Communications in Statistics - Simulation and Computation 32:4, pages 1005-1028.
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Stefan Mittnik, Marc S. Paolella & Svetlozar T. Rachev. (1998) A tail estimator for the index of the stable paretian distribution . Communications in Statistics - Theory and Methods 27:5, pages 1239-1262.
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Articles from other publishers (16)

Frederico Caeiro & Ayana Mateus. (2024) Reduced bias estimation of the shape parameter of the log-logistic distribution. Journal of Computational and Applied Mathematics 436, pages 115347.
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Ayana Mateus & Frederico Caeiro. (2022) Improved Shape Parameter Estimation for the Three-Parameter Log-Logistic Distribution. Computational and Mathematical Methods 2022, pages 1-13.
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Jan Beirlant. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Jan Beirlant, Elisabeth Joossens & Johan Segers. (2009) Second-order refined peaks-over-threshold modelling for heavy-tailed distributions. Journal of Statistical Planning and Inference 139:8, pages 2800-2815.
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Deyuan Li & Liang Peng. (2009) Does bias reduction with external estimator of second order parameter work for endpoint?. Journal of Statistical Planning and Inference 139:6, pages 1937-1952.
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Liang Peng. (2009) A practical method for analysing heavy tailed data. Canadian Journal of Statistics 37:2, pages 235-248.
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M. Ivette Gomes, Laurens De Haan & Lígia Henriques Rodrigues. (2008) Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses. Journal of the Royal Statistical Society Series B: Statistical Methodology 70:1, pages 31-52.
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. 2007. Statistical Analysis of Extreme Values. Statistical Analysis of Extreme Values 159 206 .
Mohamed El Arrouchi & Abdelouahid Imlahi. (2005) Optimal choice of kn-records in the extreme value index estimation. Statistics & Decisions 23:2/2005.
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Jan Beirlant. 2006. Encyclopedia of Actuarial Science. Encyclopedia of Actuarial Science.
Tomasz J. Kozubowski, Anna K. Panorska & Svetlozar T. Rachev. 2003. Handbook of Heavy Tailed Distributions in Finance. Handbook of Heavy Tailed Distributions in Finance 131 167 .
Ping-Hung Hsieh. (2002) An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators. Computational Statistics & Data Analysis 40:2, pages 263-283.
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J. C. Huber. (1999) Inventive productivity and the statistics of exceedances. Scientometrics 45:1, pages 33-53.
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L. Peng. (1998) Asymptotically unbiased estimators for the extreme-value index. Statistics & Probability Letters 38:2, pages 107-115.
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Holger Drees. (1998) A general class of estimators of the extreme value index. Journal of Statistical Planning and Inference 66:1, pages 95-112.
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Zoi Tsourti & John Panaretos. (2001) Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison. SSRN Electronic Journal.
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